兹维博迪金融学第二版试题库.docx

1、兹维博迪金融学第二版试题库Chapter FifteenMarkets for Options and Contingent ClaimsThis chapter contains 50 multiple choice questions, 15 short problems, and 9 longer problems.Multiple Choice1.An option to buy a specified item at a fixed price is a(n) _。 an option to sell is a _.(a)put。 call(b)spot option, call(c

2、)call。 put(d)put。 spot option Answer: (c)2.A(n) _ option can be exercised up to and on the expiration date, whereas a(n) _ option can only be exercised on the expiration date.(a)American-type。 Bermudan-type(b)American-type。 European-type(c)European-type。 American-type(d)Bermudan-type。 European-type

3、Answer: (b)3.The difference between exercise price and current stock price is the tangible value of an _, and the difference between the current stock price and exercise price is the tangible value of an _.(a)out of the money put option。 in the money call option(b)in the money put option。 out of the

4、 money call option(c)in the put money option。 at the money call option(d)at the money put option。 in the money put option Answer: (b)4.A call option is said to be “out of the money” if its _.(a)exercise price is equal to the price of the underlying stock(b)current stock price is greater than its str

5、ike price(c)strike price is greater than the current stock price(d)strike price is less than its current stock price Answer: (c)5.The time value of an option is _.(a)the difference between an options stock price and its tangible value(b)the difference between the current stock price and exercise pri

6、ce(c)the difference between the exercise price and the stock price(d)the difference between an options market price and its tangible value Answer: (d)6.The prices of puts are _ the higher the exercise price, and the prices of calls are _ the higher is the exercise price.(a)lower。 higher(b)higher。 lo

7、wer(c)lower。 lower(d)higher。 higher Answer: (b) Questions 7 through 10 refer to the following hypothetical information: Listing of LePlastrier Options (symbol: LLB) (Prices listed are closing prices.) February 27, 2009CALLSStock Price on NYSEExercise Price JanuaryFebruaryApril109.75109.75109.7510711

8、01133.3750.6250.1255.6252.18750.8757.1254.8752.375PUTSStock Price on NYSEExercise Price JanuaryFebruaryApril109.75109.75109.751071101131.753.62593.3755.875105.8757.37511.757.What is the tangible value of the April LLB 110 put?(a)0(b)0.25(c)3.25(d)7.375 Answer: (b)8.What is the tangible value of the

9、February LLB 107 call?(a)0(b)5.625(c)0.75(d)2.75 Answer: (d)9.In what state is the January LLB 107 call?(a)in-the-money(b)out-of-the-money(c)at-the-money(d)zero state Answer: (a)10.In what state is the February LLB 113 put?(a)in-the-money(b)out-of-the-money(c)at-the-money(d)zero state Answer: (a)11.

10、Which is the correct formula describing the put-call parity relation?(a)S + C = (b)S + P = (c)S + P = (d)S + C = Answer: (c)12.A “protective-put” strategy is where one _.(a)buys a share of stock and a call option(b)buys a put option and a call option(c)buys a put option and a share of stock(d)sells

11、a put option and buys a call option Answer: (c)13.SPX options are effectively calls or puts on a hypothetical index fund that invests in a portfolio composed of the stocks that make up the S&P 500 index, each of the 500 companies _.(a)equally represented with respect to the others(b)in proportion to

12、 the total value of its shares outstanding(c)in proportion to the trading volume of its shares(d)rotating on a proportional basis dependent on earnings Answer: (b)14.The SPX contract specifies that if the call option is exercised, the owner of the options _.(a)pays a cash settlement of $100 times th

13、e difference between the index value and the strike price(b)receives a cash payment of $100 times the difference between the index and tangible values (c)receives a cash payment of $100 times the difference between the index value and the strike price(d)receives a payment of index shares $100 times

14、the difference between the index value and strike price Answer: (c)15.The stock of Deneuvre Ltd, currently lists for $370 a share, while one-year European call options on this stock with an exercise price of $150 sell for $290 and European put options with the same expiration date and exercise price

15、 sell for $58.89. Infer the yield on a one-year zero-coupon U.S. government bond sold today.(a)2.49%(b)8.00%(c)11.11%(d)24.90% Answer: (b)16.The stock of Fellini Ltd, currently lists for $550 a share, while one-year European call options on this stock with an exercise price of $250 sell for $380 and

16、 European put options with the same expiration date and exercise price sell for $56.24. Infer the yield on a one-year zero-coupon U.S. government bond sold today.(a)6.67%(b)10.5%(c)19.76%(d)23.76% Answer: (b)17.Consider a stock that can take only one of two values a year from now, either $250 or $90

17、. Also consider a call option on the stock with an exercise price of $160 expiring in one year. At expiration, the call will pay either $90 if the stock price is $250 or it will pay nothing if the stock price is $90. Calculate the call options hedge ratio.(a)0.3600(b)0.4444(c)0.5625(d)0.6400 Answer:

18、 (c)18.Consider a stock that can take only one of two values a year from now, either $320 or $130. Also, consider a call option on the stock with an exercise price of $200 expiring in one year. At expiration, the call will pay either $120 if the stock price is $320 or it will pay nothing if the stoc

19、k price if $130. The risk-free rate is 5% per year. Calculate the hedge ratio.(a)hedge ratio = 0.3750(b)hedge ratio = 0.4063(c)hedge ratio = 0.6000(d)hedge ratio = 0.6316 Answer: (d)19.As one attempts to improve the two state model, we can further subdivide time intervals into shorter increments and

20、 build the _.(a)Binomial option pricing model(b)Black-Scholes model(c)Discrete model(d)a and b Answer: (d)20.When the _ price of the underlying stock equals the _, this reasoning leads to the simplified Black-Scholes formula.(a)future。 price of the call(b)current。 future value of the strike price(c)

21、current。 present value of the strike price(d)future。 price of the put Answer: (c)21.Which is the correct formula using Black-Scholes method for a European call option on a non-dividend paying stock?(a)C = N(d1)S + N(d2)Ee-rT(b)C = N(d2)S + N(d1)Ee-rT(c)C = N(d1)S N(d2)Ee-rT(d)C = N(d1)E N(d2)Se-rT A

22、nswer: (c)22.Use the Black-Scholes formula to find the value of a European call option on the following stock: Time to maturity 6 months Standard deviation 50 percent per year Exercise price 60 Stock price 60 Interest rate 10 percent per year Assume it is a non-dividend paying stock. The value of a

23、call is _.(a)$6.83(b)$9.76(c)$9.96(d)$14.36 Answer: (b)23.Use the Black-Scholes formula to find the value of a European call option on the following non-dividend paying stock: Time to maturity 4 months Standard deviation 45 percent per year Exercise price 65 Stock price 60 Interest rate 11 percent p

24、er year(a)$5.09(b)$7.75(c)$9.66(d)$11.43 Answer: (a)24.The Black-Scholes formula has four parameters that are directly observable and one that is not. Which of the following parameter is not directly observable?(a)exercise price(b)stock price(c)volatility of the stock return(d)risk-free interest rat

25、e Answer: (c)25.As a financial analyst at Dodgie Brothers investment house, you are asked by a client if she should purchase European call options on Angel Heart Ltd shares that are currently selling in U.S. dollars for $45.00. The options on Angel Heart Ltd have an exercise price of $65.00. The cur

26、rent stock price for Angel Heart is $70 and the estimated rate of return variance of the stock is 0.09. If these options expire in 35 days and the riskless interest rate over the period is 6%, what should your client do?(a)The call is valued at $19.63。 this is less than $70 and not worth buying.(b)T

27、he call is valued at $5.37。 this is less than $45 and not worth buying.(c)The call is valued at $70。 this is greater than $45 and worth buying.(d)The call is valued at $15。 this is greater than $6 and worth buying. Answer: (b)26.Use the linear approximation of the Black-Scholes model to find the val

28、ue of a European call option on the following stock: Time to maturity 6 months Standard deviation 0.3 Exercise price 50 Stock price 50 Interest rate 10 percent per year What is the discrepancy between the value obtained from the linear approximation and traditional Black-Scholes formula?(a)Linear ap

29、prox = $3.01。 Discrepancy = $1.0154(b)Linear approx = $4.24。 Discrepancy = $1.2016(c)Linear approx = $3.01。 Discrepancy = $1.2016(d)Linear approx = $4.76。 Discrepancy = $1.2153 Answer: (b)27.Use the Black-Scholes formula to find the value of a European call option and a European put option on the fo

30、llowing stock: Time to maturity 0.5 Standard deviation 30% per year Exercise price 100 Stock price 100 Risk-free interest rate 10 percent per year The values are closest to:(a)Value of call = $16.73。 Value of put = $7.22(b)Value of call = $12.27。 Value of put = $9.32(c)Value of call = $10.90。 Value of put = $6.02(d)Value of call = $8.28。 Value of put = $3.40 Answer: (c)28.Use the Black-Scholes formula to find the value of a European call option and a European put option on the following stock: Time to maturity 0.5 Standard